Circular autocorrelation of stationary circular Markov processes

Toshihiro Abe, Hiroaki Ogata*, Takayuki Shiohama, Hiroyuki Taniai

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

The stationary Markov process is considered and its circular autocorrelation function is investigated. More specifically, the transition density of the stationary Markov circular process is defined by two circular distributions, and we elucidate the structure of the circular autocorrelation when one of these distributions is uniform and the other is arbitrary. The asymptotic properties of the natural estimator of the circular autocorrelation function are derived. Furthermore, we consider the bivariate process of trigonometric functions and provide the explicit form of its spectral density matrix. The validity of the model was assessed by applying it to a series of wind direction data.

本文言語English
ページ(範囲)1-16
ページ数16
ジャーナルStatistical Inference for Stochastic Processes
DOI
出版ステータスAccepted/In press - 2016 12月 31

ASJC Scopus subject areas

  • 統計学および確率

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